ABSTRACT
The issue of stock market volatility has received much attention in the finance literature. This chapter addresses the main issues which include, the important causes of stock market volatility, and whether it increased over time, the extent to which international financial integration led to a faster transmission of volatility across international stock markets. It aims to develop a model which is capable of explaining the financial and business cycle determinants of movements in the conditional volatility of the Australian All Industrials stock market index. The regression F-statistic is highly significant, indicating that the included variables are jointly statistically significant determinants of the conditional volatility of the Australian stock market. The chapter provides some evidence which is interpretable as an extension of the low frequency analysis of Schwert who did not include international factors such as the account deficit and the exchange rate in his investigation of the causes of stock market volatility in the US.
